The former Emmerdale actress, who is said to be devastated by the sudden death, was due to appear in performances of Cinderella at Newcastle's Theatre Royal this weekend.
According to the Daily Mail, 26-year-old Pallett has now returned home to Carlisle, where her best friend also lived, to be with family. It is currently unsure when she will return to the show.
The Dancing On Ice star's agent yesterday released a statement that read: "On Friday, December 11, Roxanne Pallett received the tragic news that her best friend from home had been found dead. She was and still is understandably in pieces and grieving in a great deal of shock.
"Roxanne was taken from the Theatre Royal in Newcastle where she was due to perform as Cinderella straight back to Carlisle to be with family at this heartbreaking time."
Pallett is contracted to appear in the show until January 16.